Transition Probability
From Open Risk Manual
Revision as of 18:49, 21 December 2020 by Wiki admin (talk | contribs) (Created page with "== Definition == A '''Transition Probability''' for a stochastic (random) system is the probability the system will transition between given states in a defined period of time...")
Definition
A Transition Probability for a stochastic (random) system is the probability the system will transition between given states in a defined period of time.
Let us assume a state space . The the probability of moving from state m to state n in one time step is
- The collection of all transition probabilities forms the Transition Matrix which satisfies various properties.
- When the system is observed for an infinitesimal time period, we talk about the Transition Rate.